Skewness Persistence in Common Stock Returns

J. Clay Singleton; John Wingender

doi:10.2307/2331046

Skewness Persistence in Common Stock Returns

J. Clay Singleton, John Wingender

Department of Economics and Finance

Research output: Contribution to journal › Article

85 Scopus citations

Abstract

Recent empirical studies have found ex post common stock returns to be consistently positively skewed. The frequency of positive skewness in this study is found to be relatively stable over varying time periods from 1961 to 1980. However, the skewness of individual stocks and portfolios of stocks does not persist across different time periods. Positively-skewed equity portfolios in one period are not likely to be positively skewed in the next time period. Past positively-skewed returns do not predict future positively-skewed returns.

Original language	English (US)
Pages (from-to)	335-341
Number of pages	7
Journal	Journal of Financial and Quantitative Analysis
Volume	21
Issue number	3
DOIs	https://doi.org/10.2307/2331046
State	Published - Sep 1986

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All Science Journal Classification (ASJC) codes

Accounting
Finance
Economics and Econometrics

Cite this

Singleton, J. C., & Wingender, J. (1986). Skewness Persistence in Common Stock Returns. Journal of Financial and Quantitative Analysis, 21(3), 335-341. https://doi.org/10.2307/2331046

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10.2307/2331046